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Estimation in Non Linear Non Gaussian State Space Models with Precision Based Methods

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Figure

Figure 1: Illustration of the two approximations for a skew normal distri-bution (shaded): Gaussian (dotted line) and the same Gaussian with ARadjustment (solid line).
Figure 2: The U.S. 3-month Tbill rate (left), CPI in‡ation rate (middle),and GDP growth rate (right) from 1947 Q1 to 2011 Q2.
Figure 3: Boxplots of the ine¢ciency factors for the unrestricted linearGaussian model (U), and the three sampling schemes: MH (S1), ARMH(S2) and the collapsed sampler (S3)
Table 1: Acceptance rate (in %) and the computing time (in minutes) of thethree sampling schemes: MH (S1), ARMH (S2) and the collapsed samplerwith CE (S3).
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